http://orcid.org/0000-0002-9751-7625
References
- Almgren, R., Thum, C., Hauptmann, E. and Li, H., Direct estimation of equity market impact. Risk, 2005, 18(7), 57–62.
- Benzaquen, M. and Bouchaud, J.P., A fractional reaction-diffusion description of supply and demand. Eur. Phys. J. B, 2018, 91, 23.
- Bershova, N. and Rakhlin, D., The non-linear market impact of large trades: Evidence from buy-side order flow. Quant. Finance, 2013, 13(11), 1759–1778.
- Bouchaud, J.-P., Price impact. In Encyclopedia of Quantitative Finance, edited by R. Cont, 2010 (John Wiley & Sons: Hoboken, NJ).
- Bouchaud, J.-P., Farmer, J.D. and Lillo, F., How markets slowly digest changes in supply and demand. In Handbook of Financial Markets: Dynamics and Evolution, edited by T. Hens and K.R. Schenk-Hoppe, pp. 57–160, 2008 (Elsevier: North-Holland).
- Bouchaud, J.-P., Gefen, Y., Potters, M. and Wyart, M., Fluctuations and response in financial markets: The subtle nature of “random” price changes. Quant. Finance, 2004, 4(2), 176–190.
- Brokmann, X., Serie, E., Kockelkoren, J. and Bouchaud, J.-P., Slow decay of impact in equity markets. Market Microstruct. Liquidity, 2015, 1(2), 1550007.
- Donier, J. and Bonart, J., A million metaorder analysis of market impact on the bitcoin. Market Microstruct. Liquidity, 2015, 1(2), 1550008.
- Donier, J., Bonart, J.F., Mastromatteo, I. and Bouchaud, J.-P., A fully consistent, minimal model for non-linear market impact. Quant. Finance, 2015, 15(7), 1109–1121.
- Farmer, J.D., Gerig, A., Lillo, F. and Waelbroeck, H., How efficiency shapes market impact. Quant. Finance, 2013, 13, 1743–1758.
- Gatheral, J., No-dynamic-arbitrage and market impact. Quant. Finance, 2010, 10(7), 749–759.
- Gomes, C. and Waelbroeck, H., Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders. Quant. Finance, 2015, 15(5), 773–793.
- Grinold, R.C. and Kahn, R.N., Active Portfolio Management, 2000 (McGraw Hill: New York).
- Hasbrouck, J., Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading, 2007 (Oxford University Press: Oxford).
- Huberman, G. and Stanzl, W., Price manipulation and quasi-arbitrage. Econometrica, 2004, 72(4), 1247–1275.
- Kyle, A.S., Continuous auctions and insider trading. Econometrica, 1985, 53, 1315–1335.
- Lillo, F. and Farmer, J.D., The long memory of the efficient market. Stud. Nonlinear Dyn. Econom., 2004, 8(3), 1–33 .
- Mastromatteo, I., Tóth, B. and Bouchaud, J.-P., Anomalous impact in reaction-diffusion financial models. Phys. Rev. Lett., 2014a, 113, 268701.
- Mastromatteo, I., Tóth, B. and Bouchaud, J.-P., Agent-based models for latent liquidity and concave price impact. Phys. Rev. E, 2014b, 89(4), 042805.
- Smith, E., Farmer, J.D., Gillemot, L.s. and Krishnamurthy, S., Statistical theory of the continuous double auction. Quant. Finance, 2003, 3(6), 481–514.
- Tóth, B., Lemperiere, Y., Deremble, C., De Lataillade, J., Kockelkoren, J. and Bouchaud, J.P., Anomalous price impact and the critical nature of liquidity in financial markets. Phys. Rev. X, 2011, 1(2), 021006.
- Weber, P. and Rosenow, B., Order book approach to price impact. Quant. Finance, 2005, 5(4), 357–364.
- Zarinelli, E., Treccani, M., Farmer, J.D. and Lillo, F., Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate. Market Microstruct. Liquidity, 2015, 1(2), 1550004.